I wish our gym ran Body Attack classes or as I like to call them "Fat Attack" classes. I used to do them before I fell pg with DD and they were fantastic. We have

-Combat
-Pump
-Step (was doing this but think its beyond me now...)
-Zumba (too slow - too much time previewing steps, not enough time doing them)
-RPM (hate with a passion)
-Balance
-Ladies Circuit (like Biggest Loser classes - awesome for fitness, not so great for pg ladies...but my favourite)

I'm thinking the swimming thing could be a winner. I'm not a very good swimmer so its hard work & would be a cardio workout while being low impact.

Thanks for the suggestions about the physio led aquarobics. I tried them when I was pg with DD but they're not that convenient to get to and I already pay for full gym / classes / pool membership so I'm going to keep trying to make the most of that money.